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QUANTILE ESTIMATION OF REGRESSION MODELS WITH GARCH-X ERRORS

Zhu, QQ; Li, GD; Xiao, ZJ

Zhu, QQ (corresponding author), Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China.

STATISTICA SINICA, 2021; 31 (3): 1261

Abstract

Conditional quantile estimations are an essential ingredient in modern risk management, and many other applications, where the conditional heterosceda......

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